CSFB Tremont Index Up 0.5% For January

by Carla Johnson, Investors Offshore, London

19 February 2002

The CSFB/Tremont Hedge Fund Index is up 0.5% for January 2002, according to Roland Lorenzo, President and Chief Operating Officer of Credit Suisse First Boston Tremont Index LLC

“The ability to short, a trademark strategy of hedge funds, is an increasingly desirable risk management tool as world markets once again proved disappointing for long-only investors,” observed Mr. Lorenzo. “The CSFB/Tremont Hedge Fund Index is up 0.5%, while the traditional global indices languished in negative territory during January.”

“Emerging markets funds returned 2.8%, outperforming all other sectors for the third consecutive month,” said Robert I. Schulman, President of Tremont Advisers. “And the global macro sector returned 2.6%, to continue its stellar performance of last year.”

The CSFB/Tremont Hedge Fund Index has returned 142.47% for the 97-month period since inception (January 1, 1994 through January 31, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 381 funds as of January 1, 2002, up from 369 funds as of December 1, 2001. The fourteen additions to the Index include: Emergent Alternative Fund Ltd, Barclays Global Investors UK Equity Market Neutral, Jemmco Partners LP, BAREP Protea M&A Euro, Trophy Hunter Investments Ltd, Paulson International Ltd, Steel Partners II LP, New Ellington Overseas Ltd, Maga Fund Limited, CRM Partners LP, KCM Biomedical LP, The C&O Investment Partnership LP, UT Technology Fund Ltd, and Sunrise Capital Diversified Ltd. Two funds have dropped from the Index, as neither continues to report performance: ACM Credit Arbitrage Fund and Alliance Alpha I Institutional Partners LP.

The Index is constructed using a database of more than 2,600 hedge funds. It includes both U.S. and offshore funds, but does not include funds of funds. In order to qualify for inclusion in the index selection universe, a fund must have US $10 million under management, a 12-month track record, and an audited financial statement. Index funds are selected using a formula based on assets under management that ensures the Index always represents at least 85% of total assets in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. The Index is calculated on a monthly basis and adjusted for capitalization and return.

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